Forecasting vector autoregressions with mixed roots in the vicinity of unity

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Bagging predictors
Regularized estimation in sparse high-dimensional time series models
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
VAR forecasting under misspecification
Limit theory for moderate deviations from a unit root
Robust econometric inference with mixed integrated and mildly explosive regressors
Bayesian stochastic search for VAR model restrictions
Bagging binary and quantile predictors for time series
Least-squares forecast averaging
Forecasting cointegrated nonstationary time series with time-varying variance
Cointegrating rank selection in models with time-varying variance
Averaging estimators for autoregressions with a near unit root
An unbiased \(C_p\) criterion for multivariate ridge regression
Prediction of multivariate time series by autoregressive model fitting
Asymptotic inference for nearly nonstationary AR(1) processes
Statistical analysis of cointegration vectors
Bootstrapping general first order autoregression
Estimating the dimension of a model
Heuristics of instability and stabilization in model selection
Determination of vector error correction models in high dimensions
Model averaging based on leave-subject-out cross-validation for vector autoregressions
Analyzing bagging
On LASSO for predictive regression
Nonconcave penalized estimation in sparse vector autoregression model
High-dimensional predictive regression in the presence of cointegration
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Bootstrapping unstable first-order autoregressive processes
Predictive quantile regressions under persistence and conditional heteroskedasticity
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
Bootstrap in moving average models
Asymptotic prediction mean squared error for vector autoregressive models
Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective
Bayesian forecast combination for VAR models☆
Towards a unified asymptotic theory for autoregression
Maximum likelihood identification of Gaussian autoregressive moving average models
Modified AIC and Cp in multivariate linear regression
Recent developments in bootstrapping time series
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Alternative Asymptotics for Cointegration Tests in Large VARs
Regression Theory for Near-Integrated Time Series
Co-Integration and Error Correction: Representation, Estimation, and Testing
Bootstrap Methods for Time Series
Error-Correction Factor Models for High-dimensional Cointegrated Time Series
Identifying Cointegration by Eigenanalysis
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
Some Comments on C P
OPTIMAL MULTISTEP VAR FORECAST AVERAGING
Limit Theory for VARs with Mixed Roots Near Unity
Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models

This page was built for publication: Forecasting vector autoregressions with mixed roots in the vicinity of unity